Help with combining objects
In your case, I think you want to parent the smaller objects to the main objects.  This would be done by shift-selecting the smaller objects then finally selecting the larger object.  Finally, press Ctrl-P and select Object.  The objects with the red-orange outline will be parented to the object with the orange outline.  This means that their movement is now relative to their parent object.  You can find documentation of this behavior here in the blender manual.